Petropoulos, Constantinos; Kourouklis, Stavros - In: Metrika 60 (2004) 1, pp. 15-24
Estimation of a quantile of the common marginal distribution in a multivariate Lomax (Pareto II) distribution with unknown location and scale parameters is considered. For quadratic loss and specified extreme quantiles, it is established that the best affine equivariant procedure is inadmissible...